We apply the measure of dynamic correlation developed by Croux, Forni and Reichlin (2001) [A measure of comovement for economic variables: theory and empirics. Review of Economics and Statistics 83, 232-241] to the relation between the quarterly rates of unemployment and labor productivity growth for the post-war United-States economy. The application of the dynamic correlation reveals that these variables are strongly related, but in a different manner according to the frequencies considered: negatively at low frequencies and positively at business cycle frequencies.
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Article provided by Economics Bulletin in its journal Economics Bulletin.
Find related papers by JEL classification: E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
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